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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 100(OEX) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 33 34 34 34 34 34 34 34 34 34 34
Closed Higher 21 18 22 19 21 19 15 22 12 19 24
Exceeded High 17 15 17 18 19 14 13 17 11 17 19
Scenario Percentage 81% 83% 77% 95% 90% 74% 87% 77% 92% 89% 79%
Avg Max Increase 393.78% 5.01% 6.37% 5.22% 6.47% 12.37% 4.46% 12.92% 9.79% 14.03% 6.92%
Max Increase 5621.63% 10.82% 14.38% 12.10% 37.88% 63.49% 8.42% 146.50% 33.86% 131.91% 71.53%
Avg Days To Max Increase 18 18 17 17 21 18 15 14 20 19 17
Avg Max Decline -10.15% -1.21% -1.73% -7.30% -3.78% -3.00% -1.50% -4.16% -1.84% -2.34% -1.00%
Max Decline -90.81% -4.03% -5.15% -99.66% -40.09% -13.45% -4.32% -47.49% -7.74% -16.41% -5.32%
Avg Days to Max Decline 7 8 9 10 13 9 9 8 7 9 4
2009 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes
Action     Yes Yes Yes Yes Yes Yes Yes   Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 33 34 34 34 34 34 34 34 34 34 34
Closed Lower 12 16 12 14 13 15 19 12 22 15 10
Penetrated Low 10 12 8 7 8 10 14 10 15 6 8
Scenario Percentage 83% 75% 67% 50% 62% 67% 74% 83% 68% 40% 80%
Avg Max Decline 8.91% 13.63% 15.03% 17.54% 7.18% 15.55% 20.05% 6.58% 19.22% 21.51% 34.01%
Max Decline 38.13% 99.39% 99.63% 96.90% 27.26% 86.90% 89.01% 16.87% 91.59% 98.63% 99.85%
Avg Days To Max Decline 18 18 17 18 15 17 18 19 17 12 15
Avg Max Increase -4.71% -1.78% -3.30% -14.33% -1.56% -8.57% -14.97% -3.50% -14.07% -3.20% -22.81%
Max Increase -30.60% -5.91% -10.31% -90.59% -3.67% -73.48% -119.37% -9.65% -168.31% -9.63% -100.36%
Avg Days to Max Increase 8 8 11 7 6 11 8 13 8 2 -70
2009 Contract Condition Yes Yes               Yes  
Action Yes Yes               No  
High 447.86 412.16 393.09 412.98 431.62 444.47 464.97 482.75 499.01 509.00 517.88
Low 380.92 348.20 317.37 370.92 403.09 416.75 408.76 455.02 461.95 472.75 479.01
Close/Last 391.28 348.21 377.35 406.00 427.56 429.66 460.26 474.73 488.35 482.31 510.74

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